Authors’ Reply: Pricing Annuity Guarantees Under a Regime-Switching Model - Discussion by Robert J. Elliott and Tak Kuen Siu
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Publication:5029073
DOI10.1080/10920277.2009.10597559zbMATH Open1483.91202OpenAlexW4241092063MaRDI QIDQ5029073FDOQ5029073
Authors: X. Sheldon Lin, Ken Seng Tan, Hailiang Yang 
Publication date: 11 February 2022
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2009.10597559
Cited In (10)
- Application of data clustering and machine learning in variable annuity valuation
- Valuation of large variable annuity portfolios under nested simulation: a functional data approach
- On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model
- On a multi-dimensional risk model with regime switching
- On a reduced form credit risk model with common shock and regime switching
- Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process
- A hidden Markov regime-switching model for option valuation
- Valuation of guaranteed unitized participating life insurance under MEGB2 distribution
- Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach
- Pricing annuity guarantees under a double regime-switching model
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